Bilateral Estimation of the Bellman Function in the Problems of Optimal Stochastic Control of Discrete Systems by the Probabilistic Performance Criterion
- Authors: Azanov V.M.1, Kan Y.S.1
- 
							Affiliations: 
							- Moscow Aviation Institute (National State University)
 
- Issue: Vol 79, No 2 (2018)
- Pages: 203-215
- Section: Topical Issue
- URL: https://journals.rcsi.science/0005-1179/article/view/150814
- DOI: https://doi.org/10.1134/S0005117918020017
- ID: 150814
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Abstract
Consideration was given to the optimal control of discrete stochastic systems by the probabilistic quality criterion. The new characteristics of the Bellman equation for this class of problems were examined, and the two-sided estimate of the Bellman function was determined. The problem of optimal control of the security portfolio with one riskless and a given number of risk assets was considered by way of example. The class of strategies featuring asymptotic optimality was established using the two-sided estimate of the Bellman function.
About the authors
V. M. Azanov
Moscow Aviation Institute (National State University)
							Author for correspondence.
							Email: azanov59@gmail.com
				                					                																			                												                	Russian Federation, 							Moscow						
Yu. S. Kan
Moscow Aviation Institute (National State University)
														Email: azanov59@gmail.com
				                					                																			                												                	Russian Federation, 							Moscow						
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